mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-29 04:25:37 +08:00
Jean Bredeche
83 lines
2.0 KiB
Python
83 lines
2.0 KiB
Python
from importlib import import_module
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import os
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from toolz import merge
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from zipline import run_algorithm
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# These are used by test_examples.py to discover the examples to run.
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from zipline.utils.calendars import register_calendar, get_calendar
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EXAMPLE_MODULES = {}
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for f in os.listdir(os.path.dirname(__file__)):
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if not f.endswith('.py') or f == '__init__.py':
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continue
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modname = f[:-len('.py')]
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mod = import_module('.' + modname, package=__name__)
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EXAMPLE_MODULES[modname] = mod
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globals()[modname] = mod
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# Remove noise from loop variables.
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del f, modname, mod
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# Columns that we expect to be able to reliably deterministic
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# Doesn't include fields that have UUIDS.
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_cols_to_check = [
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'algo_volatility',
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'algorithm_period_return',
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'alpha',
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'benchmark_period_return',
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'benchmark_volatility',
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'beta',
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'capital_used',
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'ending_cash',
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'ending_exposure',
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'ending_value',
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'excess_return',
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'gross_leverage',
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'long_exposure',
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'long_value',
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'longs_count',
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'max_drawdown',
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'max_leverage',
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'net_leverage',
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'period_close',
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'period_label',
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'period_open',
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'pnl',
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'portfolio_value',
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'positions',
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'returns',
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'short_exposure',
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'short_value',
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'shorts_count',
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'sortino',
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'starting_cash',
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'starting_exposure',
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'starting_value',
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'trading_days',
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'treasury_period_return',
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]
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def run_example(example_name, environ):
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"""
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Run an example module from zipline.examples.
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"""
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mod = EXAMPLE_MODULES[example_name]
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register_calendar("YAHOO", get_calendar("NYSE"), force=True)
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return run_algorithm(
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initialize=getattr(mod, 'initialize', None),
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handle_data=getattr(mod, 'handle_data', None),
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before_trading_start=getattr(mod, 'before_trading_start', None),
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analyze=getattr(mod, 'analyze', None),
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bundle='test',
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environ=environ,
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# Provide a default capital base, but allow the test to override.
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**merge({'capital_base': 1e7}, mod._test_args())
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)
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